ListarGI-M2NICA - Congresos, conferencias, etc. por tema "Computational finance"

Mostrando ítems 1-2 de 2

    • Deep Learning-Based Method for Computing Initial Margin † 

      Pérez Villarino, Joel; Leitao, Álvaro (MDPI, 2021)
      [Abstract] Following the guidelines of the Basel III agreement (2013), large financial institutions are forced to incorporate additional collateral, known as Initial Margin, in their transactions in OTC markets. Currently, ...

    • Efficient Calibration and Pricing in LIBOR Market Models with SABR Stochastic Volatility Using GPUs 

      Ferreiro Ferreiro, Ana María; García Rodríguez, José Antonio; López Salas, José Germán; Vázquez, Carlos (Springer, 2016)
      [Abstract]: In order to overcome the drawbacks of assuming deterministic volatility coefficients in the standard LIBOR market models, several extensions of LIBOR models to incorporate stochastic volatilities have been ...